Vinter 21Shares Crypto Indexes
Index Methodology
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The Vinter 21Shares Crypto Indexes are a family of benchmarks. The indexes are developed to provide a rule-based and transparent way to track the value of a portfolio. Each index measures the value of an investment strategy.
This methodology clearly determines what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodology considers factors like the size and liquidity of the market, the transparency of trading, the positions of market participants, market concentration, and the adequacy of any sample to represent the market or economic reality that the benchmark is intended to measure.
21Shares AG ("21Shares") makes investing in crypto assets as easy as buying shares using your conventional broker or bank. Founded in 2018, 21Shares is led by a team of talented serial entrepreneurs and experienced banking professionals from the technology and financial world. Incorporated in Zug, with offices in Zurich and New York, the company has launched several world firsts, including the first listed crypto basket index ETP in November 2018. Read more at 21shares.com.
Invierno AB ("Vinter") is a pioneering index provider specialized in crypto assets, playing a key role in the emerging crypto ETF industry. The firm collects digital asset data from hundreds of sources, transforming proprietary strategies into investable products. Read more at vinter.co.
The Vinter 21Shares Crypto Basket Equal Weight Index ("HODLV") contains the five largest crypto assets, all weighted equally. HODLV is a mean-reversion strategy since assets are weighted equally and rebalanced quarterly.
Construction
- Universe: All eligible assets.
- Selection: Top 5 by 90 days average market capitalization.
- Weighting: Equally weighted.
- Rebalancing: Quarterly on the last business day of the month, starting at the end of January.
- Rationale: Invest in the largest assets with a mean reversion strategy; gains are realized at every rebalancing, and underperforming assets are bought.
Dissemination
- Currency: USD
- Type: Price return
- Launch date: 2021-09-29
- Base date: 2021-01-01
- Base value: 1000.00
- Calculation: Daily at 4.00 pm London time
- Publication: Daily after 4.10 pm London time
Identifiers
- Full name: Vinter 21Shares Crypto Basket Equal Weight Index
- Ticker: HODLV
- ISIN: SE0016830608
- FIGI: BBG012MV86K7
- Bloomberg: HODLV
- Refinitiv: .HODLV
- Vinter API: vntw-hodlv-5-d
The Vinter 21Shares Crypto Basket 10 Index ("HODLX") is a passive index capturing the crypto asset market. It offers a diversified exposure by selecting the ten largest assets and weighing them according to their market capitalization. The index is rebalanced quarterly.
Construction
- Universe: All eligible assets.
- Selection: Top 10 by 90 days average market capitalization.
- Weighting: Proportional to the current market capitalization.
- Rebalancing: Quarterly on the last business day of the month, starting at the end of January.
- Rationale: Invest in the ten largest assets to get diversified exposure to the crypto markets. HODLX is a buy-and-hold strategy for passive investors.
Dissemination
- Currency: USD
- Type: Price return
- Launch date: 2021-09-29
- Base date: 2021-01-01
- Base value: 1000.00
- Calculation: Daily at 4.00 pm London time
- Publication: Daily after 4.10 pm London time
Identifiers
- Full name: Vinter 21Shares Crypto Basket 10 Index
- Ticker: HODLX
- ISIN: SE0016830590
- FIGI: BBG012MV85F5
- Bloomberg: HODLX
- Refinitiv: .HODLX
- Vinter API: vntw-hodlx-10-d
The Vinter 21Shares Crypto Mid-Cap Index ("ALTS") is a passive index capturing the mid-cap portion of the crypto asset market. The index offers diversified exposure to the largest crypto assets but excludes the number one and two ranked crypto assets by market capitalization, resulting in a substantially larger weight in the remaining eight constituents. The index is rebalanced quarterly.
Construction
- Universe: All eligible assets.
- Selection: Top 8 assets ranked 3-10 by 90 days average market capitalization, i.e. select the top 10 and then exclude the two largest assets).
- Weighting: Proportional to the current market capitalization.
- Rebalancing: Quarterly on the last business day of the month, starting at the end of January.
- Rationale: Capture the mid-cap crypto assets by starting with a top 10 index and then excluding the two largest assets.
Dissemination
- Currency: USD
- Type: Price return
- Launch date: 2021-12-14
- Base date: 2021-01-01
- Base value: 1000.00
- Calculation: Daily at 4.00 pm London time
- Publication: Daily after 4.10 pm London time
Identifiers
- Full name: Vinter 21Shares Crypto Mid-Cap Index
- Ticker: ALTS
- ISIN: SE0017132293
- FIGI: BBG013PZ2Z34
- Bloomberg: ALTS
- Refinitiv: .ALTS
- Vinter API: vntw-alts-8-d
The Vinter 21Shares Crypto Staking Index (“STAKE”) includes the largest crypto assets with support for staking. All constituents are staked, and the yield generated from staking is incorporated into the index returns. The staking yield is not fixed but floating, meaning that higher staking yields will translate into a better return on investment. This is a total return index where investors will reap the rewards from staking. Constituents are weighted proportionally to their market capitalization with a maximum weight of 30%. The index is rebalanced on a semi-annual basis.
Construction
- Universe: All eligible assets with institutional support for staking.
- Selection: Up to ten of the largest assets by current market capitalization.
- Weighting: Proportional to the current market capitalization, with a maximum weight of 30%. If a cap is enforced, the weight is spread proportionally across the non-capped assets.
- Rebalancing: Semi-annually on the last business day of the month, at the end of March and September.
- Rationale: Invest in the largest Proof-of-Stake assets while reaping the rewards from staking as the yields generated from staking are incorporated into the index returns. This index not only offers the possibility of enhanced returns through staking but also removes the technical hurdles to stake. It is similar to a total return equity index where investors reap the rewards from stock dividends.
Dissemination
- Currency: USD
- Type: Total return
- Launch date: 2023-01-18
- Base date: 2021-01-01
- Base value: 1000.00
- Calculation: Daily at 4.00 pm London time
- Publication: Daily after 4.10 pm London time
Identifiers
- Full name: Vinter 21Shares Crypto Staking Index
- Ticker: STAKE
- ISIN: SE0019354069
- FIGI: BBG01BCCWP03
- Bloomberg: STAKE
- Refinitiv: .STAKE
- Vinter API: vntw-stake-10-d
In a price return index the quantity per asset is unchanged between rebalances, whereas in a total return index the quantity per asset is updated daily. The quantity per asset tomorrow is given by today’s quantity plus the quantity generated from staking. We use this quantity to calculate the index value using Vinter’s reference rates and the standard formula described in the section Calculation. The three key variables in a total return index are
- : Yield,
- : Quantity, and
- : Utilization rate.
Using informal notation, we can say that the index stakes the quantity
, which increases the quantity per asset with
. More formally, the daily quantity increase of an asset
between day
and day
is given by
where
is the daily staking yield,
is the utilization rate,
is the quantity, and
is the most recent rebalancing date on day
. Notice there is no compounding as
is unchanged between rebalances.
The yield per asset is calculated as the median of readily available yield estimates from selected staking providers. The median is robust against fluctuations in yield values, and is a representative measure of the market yield for a typical investor. There is a natural lag in the calculation, where the data used to calculate the yield on a certain day must be in the database the previous day for validation purposes.
The utilization rate per asset can be thought of as the percentage of the assets under management that is staked. The rate is determined based on factors including lock up periods and liquidity and ranges between 0% and 100%. The rate is set on the day of rebalancing and is constant between rebalancing dates. Prior to a rebalance, all staked assets are unwound for a brief period. No yield is generated during this period, and the utilization rate is set to zero. The duration of this period depends per asset, based on the lockup period for each asset.
As of 2023-03-24 the utilization rate and the unstaking period are set to
- 100% and 0 days for ADA,
- 100% and 0 days for XTZ,
- 80% and 4 days for SOL,
- 80% and 7 days for BNB,
- 60% and 4 days for MATIC,
- 60% and 21 days for ATOM, and
- 60% and 28 days for DOT.
This section defines the general construction parameters used in designing the index such as the asset universe, the asset selection and the rebalancing weights. This section contains the details needed to calculate each index.
The asset universe is a list of all possible index constituents. The default asset universe consists of all eligible constituents. It is possible to restrict the universe to assets that only contain a certain label e.g. Metaverse or Web3 as defined in the Vinter Taxonomy.
The index constituents are selected from the asset universe. One example is to select the ten largest assets based on the current market capitalization. In general, the selection process can be based on a number of factors such as market capitalization, trading volume, returns, volatility, or a combination thereof.
Assets are selected on the review date, which is five business days prior to the rebalancing date. Note that Review Date is not the same as the Yearly Review.
If it is not possible to reach the intended number of constituents, the Index Committee can decide to either include non-eligible constituents or allow the index to have fewer constituents than intended. The decision shall be made publicly available.
Rebalance weights are calculated on the review date.
The current weights per asset display the current asset allocation, and is relevant for an ETF creation/redemption. The current weights change every day, based on price movements, whereas the rebalance weights are unchanged between rebalances. The rebalance weights are updated only when the index is rebalanced.
The weight for each asset is always between 0 and 1. The sum of all constituent weights is equal to 100%.
Rebalancing involves the selection of constituents and the calculation of their rebalancing weights. Calculations are done using the closing prices on the rebalancing date. The new weights per asset are used on the opening of the day after rebalancing.
After the rebalance, the portfolio is updated so that its current weights per asset equal the rebalancing weights per asset. The bigger the difference between the current weight and the rebalancing weight, the larger the portfolio turnover.
Assets are eligible as index constituents if they meet the eligibility criteria listed in Vinter’s benchmark statement.
This index methodology expands the asset universe by removing from the eligibility criteria mentioned above:
- 12. have a market capitalization above USD 500 million;
This index methodology also restricts the asset universe by amending two eligibility criteria mentioned above with the following:
- 6. are supported by the industry including market makers, custodians, regulated exchanges, and at least one eligible crypto exchange;
- 9. have a daily trading volume that exceeds USD 5 million against USD, USDT, USDC, and other stablecoins;
The index value is given by the weighted sum over all constituents of quantity times price divided by a divisor.
The price per asset is calculated by Vinter, as detailed in the constituent pricing section.
The quantity per asset is set to the Rebalancing Weight per asset after rebalancing. In a price return index, the quantity per asset is unchanged between rebalances.
The divisor enforces index continuity on rebalancing. The divisor is defined so that the index starts at a certain start value, which ensures each index tracks the value of a certain amount of capital invested on the start date.
The Vinter reference rates are used to price assets and can vary from one index to another. The algorithms are described in Vinter's single asset reference rates. The Benchmark Statement defines the eligibility criteria for input data.
The market capitalization is given by price times circulating supply. Using circulating supply is similar to using public float for an equity index. The market capitalization is calculated at midnight UTC.
Invierno AB, Reg. No. 559207-4172, Box 5193, 10244 Stockholm, Sweden (“Vinter”)
Vinter is the benchmark administrator and the central recipient of input data with the ability to evaluate the integrity and accuracy of input data on a consistent basis. Vinter is responsible for the development of the index and controls all aspects of the provision of the benchmark. Vinter has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest.
Vinter is the calculation agent and is responsible for determining the value of the index described in the index methodology. Vinter calculates the index values in accordance with the index methodology. Upon the request of the benchmark administrator, the calculation agent shall provide all information available on the composition and details of the calculation of the requested index.
Version | Date of update | Change |
1.0. | 2021-09-10 | Initial version |
1.1. | 2022-05-16 | Add LAY1 and DEFII |
1.2. | 2023-01-18 | Add STAKE |
2.0. | 2023-08-31 | Remove LAY1 and DEFII and update the Eligible Assets section |
Any product(s) offered with the indexes described in this methodology as underlying is not in any way sponsored, endorsed, sold, or promoted by Invierno, reg. no. 559207-4172 (“Vinter”). Vinter does not make any warranty or representation whatsoever, expressly or impliedly either as to the results to be obtained from the use of the index(es) “Index” described, licenses, used, or referenced under any Programme or Prospectus and/or the figure at which the Index stands at any particular time on any particular day or otherwise. The Index is compiled and calculated solely by Vinter. However, Vinter shall not be liable (whether in negligence or otherwise) to any person for any error in the Index and Vinter shall not be under any obligation to advise any person of any error therein. Vinter is a registered trademark owned by Invierno AB. Invierno AB and its indexes are protected by various intellectual property rights. All third-party use of Vinter and its indexes require by law a licensing agreement with Invierno AB. The Index is a product of Invierno AB. Any Programme referencing the Index is not sponsored, endorsed, sold, or promoted by Vinter and/or its affiliates, and none of such parties makes any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Index. The Programme is in no way sponsored, endorsed, sold, or promoted by Vinter and its Licensors and neither of the Licensors shall have any liability with respect thereto. Vinter is not a registered investment advisor, tax advisor or broker/dealer. The content of the index methodology or its related documents underlying is intended only to provide general and preliminary information and shall not be construed as investment, tax, legal or financial advice. The reader shall ensure that all of his or her investment decisions are not made based on the content of this document and shall be solely responsible for all financial losses made in connection with investment decisions. Nothing contained in the index methodology or its related documents constitutes a solicitation, recommendation, endorsement, or offer by Vinter or any third party associated with Vinter to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on the methodology documents is accurate and up to date, occasionally unintended errors and misprints may occur. The index owner grants the benchmark administrator an exclusive, royalty-free, non-transferable, non-sublicensable license to use the index owner's intellectual property rights to fulfill the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter is a registered Benchmark Administrator by Finansinspektionen (FI) and the European Securities and Markets Authority (ESMA) under Article 34 of the European Benchmarks Regulation (2016/1011).